DBRS Ratings Limited (DBRS Morningstar) assigned a BBB (sf) rating to the EUR 355,000,000 Class A notes and a CCC (sf) rating to the EUR 53,000,000 Class B notes issued by BCC NPLs 2019 S.r.l.
As of the 31 December 2018 selection date, the notes were backed by a EUR 1.32 billion portfolio by gross book value (GBV) of Italian secured and unsecured nonperforming loans, originated by 68 Italian banks (the originators). The majority of loans in the portfolio (approximately 86.8% by GBV) defaulted after 2011, in particular between 2018 and 2019 (29.5% by GBV). The receivables are serviced by doValue S.p.A. (doValue or the special servicer). A backup servicer, Securitisation Services S.p.A., was also appointed and will act as a servicer if doValue’s contract is terminated.
Approximately 80.8% of the pool by GBV is secured, of which approximately 90.3% by GBV benefits at least from a first-ranking lien mortgage. At selection date, the secured collateral was highly concentrated in Northern regions of Italy (42.8% of first-lien real estate value) with Tuscany representing 20.0% of first-lien real estate value.
The transaction benefits from EUR 10.2 million of collections recovered between the selection date of 31 December 2018 and transfer date of 2 December 2019, part of which will be used to pay upfront costs while the remaining will be distributed in accordance with the priority of payments on the first interest payment date.
The securitisation includes the flexibility to implement a ReoCo structure.
DBRS Morningstar based its ratings on an analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of doValue, the availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses, and the transaction’s legal and structural features. DBRS Morningstar’s BBB (sf) rating stress assumes a haircut of approximately 24.4% to the special servicer’s initial business plan for the portfolio, while DBRS Morningstar’s CCC (sf) rating stress assumes 0% haircut to the special servicer’s business plan.
DBRS Morningstar analysed the transaction structure using Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is: “Rating European Non-Performing Loans Securitisations”.
DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrs.com/research/350410/global-methodology-for-rating-sovereign-governments.
The sources of data and information used for the ratings include the originators and the special servicer.
DBRS Morningstar did not rely upon third-party due diligence to conduct its analysis. DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the information available to it for the purposes of providing the ratings was of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with
the rating process.
These ratings concern a newly issued financial instrument.
These are the first DBRS Morningstar ratings on this financial instrument.
Information regarding DBRS Morningstar ratings, including definitions, policies and methodologies are available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios, as compared with the parameters used to determine the rating (the Base Case):
-- Recovery Rates Used: Cumulative base case recovery amount of approximately EUR 496 million at the BBB (sf) stress level, a 5% and 10% decrease of the cumulative base case recovery rate.
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to BB (sf).
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 10%, ceteris paribus, would lead to a downgrade of the Class A notes to CCC (sf).
-- Recovery Rates Used: Cumulative base case recovery amount of approximately EUR 647 million at the CCC (sf) stress level, a 5% and 10% decrease of the cumulative base case recovery rate.
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 5%, ceteris paribus, would lead to a confirmation of the Class B notes at CCC (sf).
-- DBRS Morningstar concludes that a hypothetical decrease of the recovery rate by 10%, ceteris paribus, would lead to a confirmation of the Class B notes at CCC (sf).
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Alessio Pignataro, Senior Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 19 December 2019
DBRS Ratings Limited
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Registered in England and Wales: No. 7139960
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
-- European CMBS Rating and Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at email@example.com.